From Mac - Press Ctrl key while clicking the "Download" link, or just right click the link if you have a double button mouse, and select "Save Linked File As..."

Hint on Streaming Files

These files require installation and use of either RealPlayer software or Windows Media Player, which is available for free from RealNetworks or Microsoft. These file formats allows us to "stream" audio files to users, which means that you will begin hearing the files without having to wait for the entire file to download. (Note that to hear audio on your computer, your system must also have a sound card and speakers or earphones.)